Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Rengo Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of Rengo Co., Ltd.. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 5.1%, drawdown -67.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 4.7%, MDD -62.5%, Sharpe 0.32, 56% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 5.1%, MDD -68.1%, exposure 100%. It is hold-like at 95%+ exposure and is not used as the featured strategy.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
The alternative must retain 75% of buy-and-hold CAGR, improve drawdown by at least 20% and 5 percentage points, and stay below 95% exposure; the ranking weights return retention 60% and drawdown improvement 40%.
| Strategy · parameters | CAGR | MDD | Sharpe | Calmar | Total | Trades | Exposure |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=26, slow=75 |
4.7% | -62.5% | 0.32 | 0.08 | 3.3x | 95 | 56% |
| ROC 모멘텀 Hold-like · Exposure 100% n=1, threshold=-0.15 |
5.1% | -68.1% | 0.32 | 0.07 | 3.6x | 3 | 100% |
| 볼린저 밴드 돌파 n=52, k=3.4 |
1.8% | -26.7% | 0.26 | 0.07 | 1.6x | 18 | 7% |
| ADX / DI 방향성 period=39, threshold=12 |
2.6% | -53.9% | 0.24 | 0.05 | 2.0x | 118 | 27% |
| Donchian 채널 돌파 entryN=22, exitN=75 |
0.8% | -73.8% | 0.17 | 0.01 | 1.2x | 75 | 76% |
| Supertrend period=18, mult=4.8 |
1.1% | -63.4% | 0.16 | 0.02 | 1.3x | 95 | 55% |
| EMA 크로스오버 fast=52, slow=148 |
0.9% | -75.0% | 0.15 | 0.01 | 1.2x | 55 | 54% |
| Keltner 채널 돌파 emaPeriod=20, atrPeriod=27, mult=2.6 |
-0.8% | -70.7% | -0.01 | -0.01 | 0.8x | 100 | 15% |
| MACD fast=19, slow=57, signal=31 |
-3.7% | -89.5% | -0.07 | -0.04 | 0.4x | 228 | 50% |
| Parabolic SAR step=0.005, maxStep=0.08 |
-6.8% | -91.5% | -0.22 | -0.07 | 0.2x | 210 | 51% |
| Buy and hold | 5.1% | -67.8% | 0.32 | 0.08 | 3.6x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 26-day average price crosses above the 75-day average
- Sell — Sell (to cash) when the 26-day average falls below the 75-day average